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st: Re; bootstrapping and time series


From   Joseph Coveney <jcoveney@bigplanet.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Re; bootstrapping and time series
Date   Sat, 09 Oct 2004 13:03:58 +0900

Nick Cox wrote:

I'm sure Stas (and Jeff Pitblado) are right here. 

However, do note that there is literature on special 
bootstrapping methods for time series (see e.g. Politis _Statistical 
Science_ 2003). The point is that Stata's 
-bootstrap- implements none of these methods. 

[Excerpted]

-------------------------------------------------------------------------------

I belive Nick is referring to

D. N. Politis, The impact of bootstrap methods on time series analysis. 
_Statistical Science_ 18(2):219-230, 2003.

For those who are interested, you can download a pdf file of the article from 
the author's Web site:

http://www.math.ucsd.edu/~politis/StatSci03.pdf

Stas Kolenikov might have already made such a recommendation in a related 
thread, but in case he hasn't, does anyone have any recommendations for an 
intermediate-level reference for those of us on the list who would like to be 
aware of the various "how-to's," "you-can't-do-thats" and "watch outs" for 
bootstrapping?  I'm aware of several books, from introductory- to theoretical-
level, but does anyone have favorites to recommend?

Joseph Coveney


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